PhD Defense Debbie Kusch Falden
Title: Projection of balances and benefits in life insurance with various dividend strategies
Abstract:
This thesis consists of four independent research projects concerning challenges and techniques within the mathematics of life insurance. They are centered around projection of balances and benefits for with-profit insurance contracts, and study
various extensions of the projection model. Firstly, we consider projection of balances with the policyholder behavior options surrender and free-policy conversion, where we derive a system of differential equations of the state-wise projections based on a suitable approximation. Then, we study the computation of market reserves, when Management Actions depend on retrospective reserves and prospective reserves, causing interdependence. Next, we discuss the concept of forward transition rates in a doubly stochastic Markov setting linked with a stochastic interest rate, and propose forward transition rates, when the reserve is decomposed into sojourn payments and transition payments. Lastly, we study affine dividends as controls of linear-quadratic optimal control problems in an actuarial framework.
Supervisor: Professor Mogens Steffensen, University of Copenhagen, Denmark
Assessment committee:
Chair, Associate Professor, Jesper Lund Pedersen, University of Copenhagen, Denmark
Professor, Jennifer Alonso Garcia, Université Libre de Bruxelles
Assistent Professor Sascha Desmettre, Johannes Kepler University Linz, Austria